Implications of Dynamic Trading for Insurance Markets
RECERCAT - Dipòsit de Recerca de Catalunya
that agents will buy full coverage. The loading is determined by the risk premium of investors in the stock market and hence does not depend on the agents willingness to pay. Agents provide insurance capital by trading an equally weighted portfolio of...
Survival and Sensemaking: Organizational Resilience in a Wall Street Trading Room After 9/11
RECERCAT - Dipòsit de Recerca de Catalunya
its entire office and trading technology in the terrorist attack of September 11 th. The traders survived, but were forced to relocate to a makeshift trading room in New Jersey. During the six months the traders spent outside New York City, they had to...
Insurance with Frequent Trading: A Dynamic Analysis of Efficient Insurance Markets
RECERCAT - Dipòsit de Recerca de Catalunya
Colabora: Universitat Pompeu Fabra. Departament d'Economia i Empresa Autor/es: José Penalva; Resumen : This paper extends existing insurance results on the type of insurance contracts needed for insurance market efficiency to a dynamic setting. It introduces continuosly open markets that allow for m...
New Findings Regarding Return Autocorrelation Anomalies and the Importance of Non-trading Periods
RECERCAT - Dipòsit de Recerca de Catalunya
importance on non-trading periods, not only weekends and holidays but also overnight closings, to explain return autocorrelation anomalies. While stock returns are highly autocorrelated, specially on Mondays, when daily returns are computed on a open-to-close...
Ecologies of Value in a Wall Street Trading Room
RECERCAT - Dipòsit de Recerca de Catalunya
Colabora: Universitat Pompeu Fabra. Departament d'Economia i Empresa Autor/es: Daniel Beunza Ibáñez; David Stark; Resumen : Our task in this paper is to analyze the organization of trading in the era of quantitative finance. To do so, we conduct an...
Insurance with Frequent Trading
RECERCAT - Dipòsit de Recerca de Catalunya
Colabora: Universitat Pompeu Fabra. Departament d'Economia i Empresa Autor/es: José Penalva; Resumen : This paper looks at the dynamic management of risk in an economy with discrete time consumption and endowments and continuous trading. I study how...
Minimum Price Variations, Time Priority and Quotes Dynamics
RECERCAT - Dipòsit de Recerca de Catalunya
Colabora: Universitat Pompeu Fabra. Departament d'Economia i Empresa Autor/es: Tito Cordella; Thierry Foucault; Resumen : We analyze the impact of a minimum price variation (tick) and time priority on the dynamics of quotes and the trading costs...
Full Insurance, Asymmetric Information and Genetic Testing
RECERCAT - Dipòsit de Recerca de Catalunya
Colabora: Universitat Pompeu Fabra. Departament d'Economia i Empresa Autor/es: José Penalva; Resumen : This paper extends previous resuls on optimal insurance trading in the presence of a stock market that allows continuous asset trading and...
Strategic Behavior and Price Discovery
RECERCAT - Dipòsit de Recerca de Catalunya
tatonnement, in the presence of a competitive informed sector. Such processes are used in the preopening period of continuous trading systems in several exchanges. It is found that the insider manipulates the market using a contrarian strategy in order to...
Short-term Investment and Equilibrium Multiplicity
RECERCAT - Dipòsit de Recerca de Catalunya
inventory effects, myopic trading behavior generates multiplicity of equilibria. In particular, two distinct patterns arise. Along the first equilibrium, short term traders anticipate higher second period price reaction to information arrival and, owing to...
A Model of Market-Making
RECERCAT - Dipòsit de Recerca de Catalunya
other agents in order to meet potential trading partners, which requires some communication or interaction between these agents, and second, that in general agents will face trading uncertainty. We consider trade in a homogeneous commodity. Firms decide...
Derivados financieros.
Comunidad Emagister
de derivados. Principales ventajas del mercado. SWAPS. Clasificación. FORWARDS. Tipo de rentabilidad y riesgos que presentan. Los contratos de futuros sobre divisas. Trading de futuros sobre divisas. Warrants. Usos del warrant....
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Constraints and Non-Existence of Rational Expectations Equilibria
RECERCAT - Dipòsit de Recerca de Catalunya
Colabora: Universitat Pompeu Fabra. Departament d'Economia i Empresa Autor/es: José M. Marín; Jacques Olivier; Resumen : In this article we show that in the presence of trading constraints, such as short sale constraints, the standard definition of...
E-Supply Chain Management: Review, Implications and Directions for Future Research
RECERCAT - Dipòsit de Recerca de Catalunya
fields is a key area of concern for contemporary managers and researchers. They have realized that Internet can enhance SCM by making real time information available and enabling collaboration between trading partners. The aim of this paper is to define...
A Search Theory of Money and Commerce with Neoclassical Production
RECERCAT - Dipòsit de Recerca de Catalunya
accumulation and welfare. With realistic parameters, inflation has large negative effects on welfare even though it raises capital and output. In contrast, with cash-in-advance, a device informally motivated with bilateral trading, inflation depresses capital...
Giffen Goods and Market Making
RECERCAT - Dipòsit de Recerca de Catalunya
multi- asset, noisy rational expectations equilibrium models. The role that information plays in traders strategies also matters. In a market with risk averse, uninformed traders, informed agents have a dual motive for trading: speculation and market...
Noise and Aggregation of Information in Large Markets
RECERCAT - Dipòsit de Recerca de Catalunya
, information acquisition in multi-asset markets, and derivatives trading. The limiting equilibria are shown to be perfectly competitive, even when a strategic solution concept is used....
Specificity Revisited: The Role of Cross-Investments
RECERCAT - Dipòsit de Recerca de Catalunya
trading jointly, but only when long-term contracting is infeasible. This paper proves that speciÞcity can also be optimal (by relaxing the budget-balance constraint) in settings with long-term contracting. Traders will opt for specificity when one trader...
